AFAICS you can only choose between \cite{a}\cite{b} (inserted with `A')
and \cite{a,b} (inserted with `a'). The syntax you want does not seem
to be very common.

Hm, it's the biblatex-way of citing several references in a single
footnote. This way of citing is quite common in the humanities and
biblatex provides very good support for these purposes. I just meant,
that it shouldn't be too difficult to support this syntax...

This is annoying; is there a way to get all my bib-entries in the
selection window when I just hit enter?

That would defeat the purpose of the regexp proposal. Or do you want to
get rid of the feature? I couldn't find a switch for that. But in
cases like yours I simply type `.' before<RET> and then get all
entries. This is probably not too unconvenient. The doc string of
`reftex-citation' mentions that `=' can be used as well.